On estimating the nonparametric multiplicative error models

DOI10.1016/J.ECONLET.2016.03.023MaRDI QIDQ1668246zbMATH OpenOpenAlexFDO

Authors Shuo Li, Yundong Tu

Publication date 3 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.03.023

zbMATH Keywords

generalized method of momentskernel smoothingmultiplicative error modelconditional homoscedasticity

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• A misspecification test for multiplicative error models of non-negative time series processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Goodness-of-fit tests for multiplicative models with dependent data
• Handbook of Volatility Models and Their Applications
• Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
• NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS
• Non‐monotonic hazard functions and the autoregressive conditional duration model

Cited in

(7)

• Some statistical properties of the vector multiplicative error model
• Location multiplicative error models with quasi maximum likelihood estimation
• Nonparametric estimation in a regression model with additive and multiplicative noise
• An error estimator for separated representations of highly multidimensional models
• Estimation of σ²in the multiplicative interaction model
• An embedded model estimator for non-stationary random functions using multiple secondary variables
• M-estimates for the multiplicative error model

Describes a project that uses

Uses Software

• np

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